RollConventionEnum
Enum CDM 7.2.0The enumerated values to specify the period term as part of a periodic schedule, i.e. the calculation period end date within the regular part of the calculation period. The value could be a rule, e.g. IMM Settlement Dates, which is the 3rd Wednesday of the month, or it could be a specific day of the month, such as the first day of the applicable month.
Values 46
Namespace cdm.base.datetime
Values
46 permitted values. The display name is the form that appears on the wire and in FpML.
| Value | Display name | Description |
|---|---|---|
| EOM | — | Rolls on month end dates irrespective of the length of the month and the previous roll day. |
| FRN | — | Roll days are determined according to the FRN Convention or Euro-dollar Convention as described in ISDA 2000 definitions. |
| IMM | — | IMM Settlement Dates. The third Wednesday of the (delivery) month. |
| IMMCAD | — | The last trading day/expiration day of the Canadian Derivatives Exchange (Bourse de Montreal Inc) Three-month Canadian Bankers' Acceptance Futures (Ticker Symbol BAX). The second London banking day prior to the third Wednesday of the contract month. If the determined day is a Bourse or bank holiday in Montreal or Toronto, the last trading day shall be the previous bank business day. Per Canadian Derivatives Exchange BAX contract specification. |
| IMMAUD | — | The last trading day of the Sydney Futures Exchange 90 Day Bank Accepted Bills Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). One Sydney business day preceding the second Friday of the relevant settlement. |
| IMMNZD | — | The last trading day of the Sydney Futures Exchange NZ 90 Day Bank Bill Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). The first Wednesday after the ninth day of the relevant settlement month. |
| SFE | — | Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month |
| NONE | — | The roll convention is not required. For example, in the case of a daily calculation frequency. |
| TBILL | — | 13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday. |
| _1 | 1 | Rolls on the 1st day of the month. |
| _2 | 2 | Rolls on the 2nd day of the month. |
| _3 | 3 | Rolls on the 3rd day of the month. |
| _4 | 4 | Rolls on the 4th day of the month. |
| _5 | 5 | Rolls on the 5th day of the month. |
| _6 | 6 | Rolls on the 6th day of the month. |
| _7 | 7 | Rolls on the 7th day of the month. |
| _8 | 8 | Rolls on the 8th day of the month. |
| _9 | 9 | Rolls on the 9th day of the month. |
| _10 | 10 | Rolls on the 10th day of the month. |
| _11 | 11 | Rolls on the 11th day of the month. |
| _12 | 12 | Rolls on the 12th day of the month. |
| _13 | 13 | Rolls on the 13th day of the month. |
| _14 | 14 | Rolls on the 14th day of the month. |
| _15 | 15 | Rolls on the 15th day of the month. |
| _16 | 16 | Rolls on the 16th day of the month. |
| _17 | 17 | Rolls on the 17th day of the month. |
| _18 | 18 | Rolls on the 18th day of the month. |
| _19 | 19 | Rolls on the 19th day of the month. |
| _20 | 20 | Rolls on the 20th day of the month. |
| _21 | 21 | Rolls on the 21st day of the month. |
| _22 | 22 | Rolls on the 22nd day of the month. |
| _23 | 23 | Rolls on the 23rd day of the month. |
| _24 | 24 | Rolls on the 24th day of the month. |
| _25 | 25 | Rolls on the 25th day of the month. |
| _26 | 26 | Rolls on the 26th day of the month. |
| _27 | 27 | Rolls on the 27th day of the month. |
| _28 | 28 | Rolls on the 28th day of the month. |
| _29 | 29 | Rolls on the 29th day of the month. |
| _30 | 30 | Rolls on the 30th day of the month. |
| MON | — | Rolling weekly on a Monday. |
| TUE | — | Rolling weekly on a Tuesday |
| WED | — | Rolling weekly on a Wednesday |
| THU | — | Rolling weekly on a Thursday |
| FRI | — | Rolling weekly on a Friday |
| SAT | — | Rolling weekly on a Saturday |
| SUN | — | Rolling weekly on a Sunday |
Referenced by
1 type holds a RollConventionEnum as an attribute.
Functions
Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.
| Function | Role | Description |
|---|---|---|
| MapRollConventionEnum | returns | — |
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